If you click 'Settings' on the top right corner.
Then on the left hand list under:
My Settings
My Account
Click 'General Settings'
In the main panel you'll see 'Messaging & Notification'.
Under that is 'Default Thread Subscription Mode:' Where you can change your notifictions.
Yours is currently set to 'Do no subscribe'.
Once you've made any changes, scroll right to the bottom and click 'Save Changes'.
HTH